As of

FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 96.7 99.4 101.1 102.4 100.8 * *
Weighted Avg. Price 96.9 99.4 101.1 102.4 100.8 * *
Avg. Price Bottom 5 Trades 94.3 99.3 101.0 102.4 100.7 * *
2nd Quartile Price 97.0 99.4 101.1 102.4 100.7 * *
3rd Quartile Price 97.0 99.4 101.1 102.4 100.9 * *
4th Quartile Price 97.1 99.4 101.1 102.4 101.0 * *
Avg. Price Top 5 Trades 97.1 99.5 101.1 102.5 100.8 * *
Standard Deviation 0.8 0.0 0.0 0.0 0.2 * *
     VOLUME OF TRADES (000'S) 998,345.3 12,724,902.6 2,234,590.2 694,244.0 60,941.7 * *
     NUMBER OF TRADES 96 328 172 74 15 * *
FHLMC
AVERAGE PRICE 96.4 99.1 101.0 102.5 0.0 0.0 0.0
Weighted Avg. Price 96.8 99.1 101.0 102.5 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 94.6 99.1 101.0 102.4 0.0 0.0 0.0
2nd Quartile Price 96.8 99.1 101.0 102.4 0.0 0.0 0.0
3rd Quartile Price 96.8 99.1 101.0 102.5 0.0 0.0 0.0
4th Quartile Price 96.8 99.2 101.0 102.5 0.0 0.0 0.0
Avg. Price Top 5 Trades 96.9 99.2 101.1 102.5 0.0 0.0 0.0
Standard Deviation 0.9 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 738,447.6 1,409,922.9 833,801.1 304,987.1 0.0 0.0 0.0
     NUMBER OF TRADES 43 71 75 46 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 96.8 99.3 101.0 102.3 100.8 * *
Weighted Avg. Price 96.9 99.3 101.0 102.3 100.7 * *
Avg. Price Bottom 5 Trades 94.3 99.2 100.9 102.3 100.8 * *
2nd Quartile Price 96.9 99.2 101.0 102.3 * * *
3rd Quartile Price 96.9 99.3 101.0 102.3 * * *
4th Quartile Price 96.9 99.3 101.0 102.3 * * *
Avg. Price Top 5 Trades 97.0 99.3 101.1 102.4 100.8 * *
Standard Deviation 0.6 0.0 0.1 0.1 0.2 * *
     VOLUME OF TRADES (000'S) 1,474,790.2 14,289,035.7 4,641,968.0 1,003,280.5 60,941.7 * *
     NUMBER OF TRADES 180 463 348 114 15 * *
FHLMC
AVERAGE PRICE 96.6 99.1 100.9 102.3 0.0 0.0 0.0
Weighted Avg. Price 96.7 99.0 100.9 102.3 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 95.6 99.0 100.8 102.3 0.0 0.0 0.0
2nd Quartile Price 96.7 99.0 100.9 102.3 0.0 0.0 0.0
3rd Quartile Price 96.8 99.1 100.9 102.3 0.0 0.0 0.0
4th Quartile Price 96.8 99.1 100.9 102.3 0.0 0.0 0.0
Avg. Price Top 5 Trades 96.8 99.1 100.9 102.4 0.0 0.0 0.0
Standard Deviation 0.6 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 985,173.3 1,583,995.4 1,284,513.5 315,763.0 0.0 0.0 0.0
     NUMBER OF TRADES 73 81 89 49 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
OCTOBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 99.1 100.9 102.2 0.0 0.0 0.0
Weighted Avg. Price 0.0 99.1 100.9 102.2 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 99.1 100.8 102.2 0.0 0.0 0.0
2nd Quartile Price 0.0 99.1 100.9 102.2 0.0 0.0 0.0
3rd Quartile Price 0.0 99.1 100.9 102.2 0.0 0.0 0.0
4th Quartile Price 0.0 99.1 100.9 102.2 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 99.1 100.9 102.2 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 591,842.0 614,200.0 22,500.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 24 74 8 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 * 102.4 * * 0.0
Weighted Avg. Price 0.0 0.0 * 102.4 * * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 102.0 * * 0.0
2nd Quartile Price 0.0 0.0 * 101.9 * * 0.0
3rd Quartile Price 0.0 0.0 * 102.4 * * 0.0
4th Quartile Price 0.0 0.0 * 102.9 * * 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 102.7 * * 0.0
Standard Deviation 0.0 0.0 * 0.6 * * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 12,035.4 * * 0.0
     NUMBER OF TRADES 0 0 * 8 * * 0
FHLMC
AVERAGE PRICE 0.0 0.0 * * * 0.0 0.0
Weighted Avg. Price 0.0 0.0 * * * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * * 0.0 0.0
2nd Quartile Price 0.0 0.0 * * * 0.0 0.0
3rd Quartile Price 0.0 0.0 * * * 0.0 0.0
4th Quartile Price 0.0 0.0 * * * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * * 0.0 0.0
Standard Deviation 0.0 0.0 * * * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * * 0.0 0.0
     NUMBER OF TRADES 0 0 * * * 0 0
GNMA
AVERAGE PRICE 94.7 97.7 100.3 102.4 104.2 105.2 107.3
Weighted Avg. Price 94.6 97.7 100.3 102.4 104.1 105.0 107.9
Avg. Price Bottom 5 Trades 94.6 97.7 100.2 102.3 104.0 104.9 105.7
2nd Quartile Price 94.6 97.7 100.3 102.4 104.0 105.0 105.8
3rd Quartile Price 94.7 97.7 100.3 102.4 104.1 105.0 107.4
4th Quartile Price 94.8 97.8 100.3 102.4 104.1 105.0 108.1
Avg. Price Top 5 Trades 94.7 97.9 100.4 102.7 105.5 107.2 109.1
Standard Deviation 0.1 0.1 0.1 0.1 0.3 0.6 1.8
     VOLUME OF TRADES (000'S) 245,836.5 1,621,455.8 6,021,190.4 10,538,270.6 3,854,390.0 2,905,249.1 37,320.5
     NUMBER OF TRADES 9 44 166 238 230 138 16
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 96.6 99.3 101.7 103.8 105.7 *
Weighted Avg. Price * 96.6 99.3 101.7 103.8 105.7 *
Avg. Price Bottom 5 Trades * 96.5 99.2 101.6 103.8 105.7 *
2nd Quartile Price * 96.6 99.3 101.7 103.8 105.7 *
3rd Quartile Price * 96.6 99.3 101.7 103.8 105.7 *
4th Quartile Price * 96.6 99.3 101.7 103.8 105.8 *
Avg. Price Top 5 Trades * 96.6 99.3 101.8 103.8 105.8 *
Standard Deviation * 0.0 0.0 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) * 4,226,924.0 10,070,376.0 20,452,959.5 5,132,055.0 234,195.0 *
     NUMBER OF TRADES * 118 446 786 371 43 *
FHLMC
AVERAGE PRICE 0.0 96.6 99.3 101.7 103.8 * 0.0
Weighted Avg. Price 0.0 96.6 99.3 101.7 103.8 * 0.0
Avg. Price Bottom 5 Trades 0.0 96.5 99.2 101.7 103.8 * 0.0
2nd Quartile Price 0.0 96.5 99.3 101.7 103.8 * 0.0
3rd Quartile Price 0.0 96.5 99.3 101.7 103.8 * 0.0
4th Quartile Price 0.0 96.6 99.3 101.7 103.8 * 0.0
Avg. Price Top 5 Trades 0.0 96.6 99.3 101.7 103.8 * 0.0
Standard Deviation 0.0 0.1 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 446,650.0 3,454,696.0 1,976,324.2 611,367.9 * 0.0
     NUMBER OF TRADES 0 18 30 53 26 * 0
GNMA
AVERAGE PRICE 94.6 97.7 100.2 102.3 103.9 104.9 106.2
Weighted Avg. Price 94.5 97.6 100.2 102.3 103.9 104.8 106.9
Avg. Price Bottom 5 Trades 94.6 97.6 100.1 102.2 103.8 104.7 105.6
2nd Quartile Price 94.5 97.6 100.2 102.3 103.9 104.8 105.5
3rd Quartile Price 94.6 97.6 100.2 102.3 103.9 104.8 105.8
4th Quartile Price 94.6 97.7 100.2 102.3 103.9 104.9 107.2
Avg. Price Top 5 Trades 94.6 97.8 100.5 102.4 104.1 105.7 106.6
Standard Deviation 0.1 0.1 0.2 0.0 0.1 0.3 1.0
     VOLUME OF TRADES (000'S) 245,747.5 2,144,328.8 6,947,874.8 10,453,944.9 3,354,590.2 2,751,833.0 31,235.0
     NUMBER OF TRADES 8 53 177 259 198 106 9
OCTOBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 96.5 99.2 101.6 103.7 105.6 0.0
Weighted Avg. Price 0.0 96.5 99.2 101.6 103.7 105.6 0.0
Avg. Price Bottom 5 Trades 0.0 96.5 99.1 101.5 103.6 105.5 0.0
2nd Quartile Price 0.0 96.5 99.2 101.5 103.6 105.5 0.0
3rd Quartile Price 0.0 96.5 99.2 101.6 103.6 105.6 0.0
4th Quartile Price 0.0 96.5 99.2 101.6 103.7 105.6 0.0
Avg. Price Top 5 Trades 0.0 96.5 99.2 101.7 103.7 105.6 0.0
Standard Deviation 0.0 0.0 0.0 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 2,239,000.0 3,666,700.0 9,766,100.0 1,535,696.0 83,200.0 0.0
     NUMBER OF TRADES 0 7 28 184 82 17 0
FHLMC
AVERAGE PRICE 0.0 * 99.2 101.6 103.7 0.0 0.0
Weighted Avg. Price 0.0 * 99.2 101.6 103.7 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 99.2 101.6 103.6 0.0 0.0
2nd Quartile Price 0.0 * * 101.6 103.7 0.0 0.0
3rd Quartile Price 0.0 * * 101.6 103.7 0.0 0.0
4th Quartile Price 0.0 * * 101.6 103.7 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 99.2 101.6 103.7 0.0 0.0
Standard Deviation 0.0 * 0.0 0.0 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 3,355,000.0 1,099,500.0 727,850.0 0.0 0.0
     NUMBER OF TRADES 0 * 9 11 17 0 0
GNMA
AVERAGE PRICE 0.0 0.0 100.1 102.1 103.7 104.7 0.0
Weighted Avg. Price 0.0 0.0 100.1 102.2 103.7 104.7 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 100.0 102.1 103.7 104.6 0.0
2nd Quartile Price 0.0 0.0 100.1 102.1 103.7 104.7 0.0
3rd Quartile Price 0.0 0.0 100.1 102.1 103.7 104.7 0.0
4th Quartile Price 0.0 0.0 100.1 102.2 103.7 104.7 0.0
Avg. Price Top 5 Trades 0.0 0.0 100.1 102.2 103.8 104.7 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.1 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 336,600.0 758,550.0 516,200.0 61,575.7 0.0
     NUMBER OF TRADES 0 0 22 142 129 18 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 99.1 101.4 103.5 105.4 *
Weighted Avg. Price 0.0 0.0 99.1 101.5 103.5 105.4 *
Avg. Price Bottom 5 Trades 0.0 0.0 99.0 101.4 103.5 105.4 *
2nd Quartile Price 0.0 0.0 99.0 101.4 103.5 * *
3rd Quartile Price 0.0 0.0 99.1 101.4 103.5 * *
4th Quartile Price 0.0 0.0 99.1 101.5 103.6 * *
Avg. Price Top 5 Trades 0.0 0.0 99.1 101.5 103.6 105.4 *
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 121,900.0 920,600.0 320,750.0 20,500.0 *
     NUMBER OF TRADES 0 0 12 128 68 6 *
FHLMC
AVERAGE PRICE 0.0 * * 101.4 103.5 105.2 0.0
Weighted Avg. Price 0.0 * * 101.5 103.5 105.2 0.0
Avg. Price Bottom 5 Trades 0.0 * * 101.4 103.5 105.2 0.0
2nd Quartile Price 0.0 * * 101.4 * * 0.0
3rd Quartile Price 0.0 * * 101.4 * * 0.0
4th Quartile Price 0.0 * * 101.5 * * 0.0
Avg. Price Top 5 Trades 0.0 * * 101.5 103.5 105.2 0.0
Standard Deviation 0.0 * * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * 122,100.0 33,000.0 6,750.0 0.0
     NUMBER OF TRADES 0 * * 9 6 5 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.